Note: This is aimed at engineering undergrads in aero/mechE/EE/CE looking to go into industry instead of academia. Much of it will not apply in other fields such as the biosciences or physics which tend to be more focused on formal research.
I graduated semi-recently and wanted to share a word of learned wisdom to those still fighting problem sets in the muddy trenches of engineering programs. Even if you've heard this advice before, it's important to hammer it home:
Build cool things in your free time.
There are three reasons why this is a critical part of your education:
1. You will better understand whether a discipline is interesting as a career
Finding rocket engines cool at a conceptual level does not necessarily mean that you will enjoy the day-to-day work involved with designing/building/testing rocket engines. If you graduate and go into an industry purely based on vibes as an external observer, there's a good chance that your expectations of day-to-day work won't quite match up with reality.
Spending your free time actually building something in your desired discipline is a fast track to the bottom of the rabbit hole, and once you arrive, you should look around and see if this is still a direction you want to pursue. Interning at relevant companies will of course yield a higher quality signal about whether this is what you want to do as a career, but good internships are hard to get early in college and you can start working in design teams in your first semester.
2. You will stand apart from students who are only good at taking tests
Ideally you should also aim to set the bar in your classes, but from my (limited) experiences on the other side of the hiring table, we'd rather take people who build cool projects in their free time over straight-A students who can test well but have no practical experience. If you manage to do both, you're in a great position.
3. You will build a network of smart, driven people with similar career interests
Online application portals are often black holes. The truth is that many opportunities come from knowing people, and working in design teams connects you to similarly-minded people in the industry that you're interested in. Also, some companies skip career fairs entirely and instead opt to solely visit relevant design teams. Working in design teams will also inevitably expose you to people who are smarter than you in certain domains. Learn from them.
If a relevant design team doesn't already exist and you know a few like-minded people, start your own team. It's possible, every other design team on campus has done it before. Otherwise, you can still get some network benefits by sharing your work online. Make a website, tweet about your projects, and you can still make valuable connections.
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As a high-level goal, aim to be so good that your dream companies reach out to you before you even apply. Set ambitious goals but remember that execution is more important than idle ideation. Be serious about your work, take it personally. This said, don't just work every Friday night, remember to go out and enjoy the college experience.
Good luck, have fun.